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Actuarial Science & Mathematical Finance

Actuarial Science & Mathematical Finance

Programme director: Prof. M.H. Vellekoop.

Fundamental and applied research

The ASMF group is a research group in the section Quantitative Economics of the Amsterdam School of Economics. Its research programme concerns both fundamental and applied research in the field of financial and economic risk management. It is mainly directed at insurance companies (for life, non-life, pension and social insurance) and pension funds, but also considers other financial intermediaries. Research is performed on the mathematical modelling, estimation, evaluation and control of the risks related to such financial institutions, under complete and incomplete information and for complete and incomplete markets. This typically involves the development of new mathematical and statistical methods and applications thereof in optimal control and asset pricing.

The group participates in the Tinbergen Institute (the graduate school and research institute of the University of Amsterdam, the Erasmus University Rotterdam and the VU University Amsterdam) and the Amsterdam Centre of Excellence in Risk and Macro Finance. Members of the group participate in scientific networks outside the University of Amsterdam such as AMaMeF, EDEEM, Eurandom, and Netspar.

Support and Funding

In the last five years, part of the research has been carried out with the support of Netspar research grants (Valuation and Risk Management for Insurance Companies and Pension Funds, Reconciling Short Term Risks and Long term Goals in Retirement Provisions and Risk Management in Funded Pension Systems), an NWO VENI grant (Non-life: A Life Insurance Approach), and an NWO VIDI grant (Econometrics of Contagion in Insurance and Finance). The Chair of Risk and Insurance is sponsored by the Dutch Association of Insurers. A number of PhD positions have been partially funded by, among others, APG, Van Ameyde and VIVAT.